FRM二級操作風險真題解析organization risk,operational risk

【題目 1】

Which of the following data issues is likely to increase risk for an organization?

I. Data transformations.

II. Duplicate records.

III. Data normalization.

IV. Nonstandard formats.

A. I and II

B. only III

C. I, II and IV

D. II and IV

答案：C

解析: Data normalization is a process to better organize data in order to minimize redundancy and dependency, so it is least likely to increase risk. All of the other data issues are likely to increase risk, especially complex data transformations.

關(guān)聯(lián)考點：數(shù)據(jù)治理

易錯點分析：

錯把duplicate records當作是數(shù)據(jù)備份的意思，這里duplicate說的是復制數(shù)據(jù)，也就是重復錄入的意思，這樣也會導致數(shù)據(jù)混亂的情況，duplicate并沒有備份的意思，如果是備份的話應該是backup。

【題目 2】

Which of the following is a weakness of the top-down approach to measuring operational risk?

A. It fails to consider diversification

B. You cannot use earnings volatility as an indicator of risk potential in this approach

C. Information on specific sources of risk is provided

D. It is based on the specific mapping of business units, and not the overall organization

答案：A

解析: The top-down approach does not provide information on specific sources of risk. It levies an overall cost of operational risk to the entire firm. A is correct. The top-down approach is fails to consider diversification. B is incorrect. Earnings volatility is suggested as an indicator of risk potential for this approach. C is incorrect. Information on specific sources of risk in the organization is not provided. D is incorrect. This is a strength of the bottom up approach, not a weakness of the top down approach.

關(guān)聯(lián)考點：top-down approach and bottom-up approach

易錯點分析：

top-down approach和bottom-up approach關(guān)于diversification之間的關(guān)系容易搞混淆。按照ERM的思想是需要考慮分散化效應的，對應到風險的整合和加總上來說，就是需要考慮不同風險類別之間的相關(guān)性，也就是內(nèi)模法的思想（類似于自下而上的方法），但是由于這種思想在實務中對銀行的技術(shù)要求比較高，也容易出險監(jiān)管套利的情況，所以巴塞爾三統(tǒng)一要求使用標準法（類似于自上而下的方法，先分類后加總），先把風險分類再計算各個風險類別的資本金，最后進行簡單的加總，所以top-down approach并未考慮分散化。